Next Article in Journal / Special Issue
Parametric and Nonparametric Frequentist Model Selection and Model Averaging
Previous Article in Journal
Forecasting Value-at-Risk Using High-Frequency Information
Previous Article in Special Issue
On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Econometrics 2013, 1(2), 141-156; doi:10.3390/econometrics1020141
Article

Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging

Graduate School of Economics, Kyoto University, Yoshida-Hommachi, Sakyo-ku, Kyoto, 6068501,Japan
Received: 13 May 2013 / Revised: 26 June 2013 / Accepted: 27 June 2013 / Published: 3 July 2013
(This article belongs to the Special Issue Econometric Model Selection)
Download PDF [433 KB, uploaded 3 July 2013]

Abstract

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a specific parameter of interest. Then, this study investigates a generalized empirical likelihood-based model averaging estimator that minimizes the asymptotic mean squared error. A simulation study suggests that our averaging estimator can be a useful alternative to existing post-selection estimators.
Keywords: model selection; model averaging; focused information criterion; generalized empirical likelihood model selection; model averaging; focused information criterion; generalized empirical likelihood
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Share & Cite This Article

Further Mendeley | CiteULike
Export to BibTeX |
EndNote
MDPI and ACS Style

Sueishi, N. Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging. Econometrics 2013, 1, 141-156.

View more citation formats

Related Articles

Article Metrics

Comments

Cited By

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert